search query: @indexterm Financial forecasting / total: 210
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| Author: | Kothari, S. P. Sabino, J. S. Zach, T. |
| Title: | Implications of survival and data trimming for tests of market efficiency |
| Journal: | Journal of Accounting & Economics
2005 : FEB, VOL. 39:1, p. 129-161 |
| Index terms: | capital markets financial forecasting market efficiency |
| Language: | eng |
| Abstract: | This paper suggests that predictability of future returns using analyst forecasts violates market efficiency. It is shown that predictability can be due to non-random data deletion, especially in skewed distributions of long-horizon security returns. Data deletion causes a negative relation between future returns and analyst forecasts' information variables. An Analysis suggests a 30-50% bias in the estimated relations. |
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